Not well, that's the only time I use vscode (for everything else I use sublime or Pycharm if it's Python). I wanted to find a link for you to include in this post but searching "sublimetext ssh" etc didn't even bring up anything definitive, which kinda tells you how not great it is.
One option if it's just like 1 file at a time is to use WinSCP with Sublime as your default editor and just open the file, edit, close, but again, obviously not great.
> VSCode makes you feel like you're on the remote system locally.
In fact, you are. It runs the plugins on the remote system. Which, while nice for UX, made me upgrade my blog's droplet from 1GB to 2GB memory ($5/month -> $10/month). But I figured it's worth it because it lowers the barrier of entry to writing, and anything to make the process of writing as painless as possible is worth it (and I'm still publishing once/week so I guess it's paying off)....